A Discrete Time Pricing Model for Individual Insurance Contracts
AbstractMost ratemaking principles or models for insurance pricing in the literature do not seem to incorporate at least one of the following three elements: contingency of claims, investment income of insurers, and insolvency risk of insurers. As far as we know, Doherty-Garven (1986) appears to be the only model that incorporates all the three components. Their model provides a solution for the “fair” rate of return of an insurer or the aggregate premium of an insurer. Their study has some important implications in terms of “excessiveness” and “adequacy” of the aggregate premium. In this paper, we developed a pricing model with which a premium can be assigned to an insurance contract. Our effort may have some important implications in terms of the “fairness” of the individual premium of an insurance contract.
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Bibliographic InfoArticle provided by Western Risk and Insurance Association in its journal Journal of Insurance Issues.
Volume (Year): 27 (2004)
Issue (Month): 1 ()
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- Gatzert, Nadine & Schmeiser, Hato, 2008. "The influence of corporate taxes on pricing and capital structure in property-liability insurance," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 50-58, February.
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